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Factor study

Find repeatable boom factors while data accumulates.

Track score, momentum, volume, risk, and sector buckets against future runup labels over rolling archived snapshots.

Factor study

2026-10-02 · 60D window · 10D outcome

twelvedata 9505 checked / 13516 total Boom = max runup ≥ +10% Validation: last 20D

Baseline boom rate 8.5%
Boom count 808
Avg max runup +3.97%
Avg drawdown -5.34%

Boom labels

boom_5d
5D max runup >= +8%
boom_10d
10D max runup >= +10%
boom_20d
20D max runup >= +15%

Setup grade

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Grade A 39 33 / 6 1 3% 0.35x +3.44% -6.33%
Grade B 136 103 / 33 20 19.4% 2.28x +5.32% -7.22%
Grade D 3441 2712 / 729 188 6.9% 0.81x +3.64% -5.52%
Grade F 9898 6655 / 3243 599 9% 1.06x +4.08% -5.23%

Best combinations

Auto-searches 1–3 factor AND rules from bucket cut-points. Ranked by validation lift, then train lift, then sample size.

Searched 481 Kept 107

Combination Total Checked / Pending Boom rate Lift Train lift Validation Avg runup Avg drawdown
Best 5D momentum v2 >= 20 + Technical >= 16 + Dollar volume >= $5B 70 51 / 19 31.4% 3.69x 2.65x 63.6% · 11 checked +6.96% -7.68%
5D momentum v2 >= 20 + Dollar volume >= $5B 71 52 / 19 30.8% 3.62x 2.59x 63.6% · 11 checked +6.96% -7.61%
5D momentum v2 >= 20 + Dollar volume >= $5B + Risk not High 71 52 / 19 30.8% 3.62x 2.59x 63.6% · 11 checked +6.96% -7.61%
Money flow >= 14 + Technical >= 16 + Dollar volume >= $5B 109 70 / 39 35.7% 4.2x 3.19x 54.5% · 22 checked +8.90% -6.10%
Money flow >= 14 + Dollar volume >= $5B 110 71 / 39 35.2% 4.14x 3.12x 54.5% · 22 checked +8.82% -6.06%
Money flow >= 14 + Dollar volume >= $5B + Risk not High 110 71 / 39 35.2% 4.14x 3.12x 54.5% · 22 checked +8.82% -6.06%
Money flow >= 12 + Technical >= 16 + Dollar volume >= $5B 191 124 / 67 29.8% 3.51x 2.68x 50% · 32 checked +7.87% -5.69%
Money flow >= 12 + Dollar volume >= $5B 192 125 / 67 29.6% 3.48x 2.66x 50% · 32 checked +7.84% -5.67%
Money flow >= 12 + Dollar volume >= $5B + Risk not High 192 125 / 67 29.6% 3.48x 2.66x 50% · 32 checked +7.84% -5.67%
Money flow >= 14 + Technical >= 20 + Dollar volume >= $5B 76 45 / 31 31.1% 3.66x 2.84x 43.8% · 16 checked +7.74% -6.45%
Technical >= 16 + Dollar volume >= $5B 329 229 / 100 30.6% 3.6x 3x 42.6% · 68 checked +7.91% -5.08%
Technical >= 16 + Dollar volume >= $5B + Risk not High 329 229 / 100 30.6% 3.6x 3x 42.6% · 68 checked +7.91% -5.08%
5D momentum v2 >= 20 + Money flow >= 14 + Dollar volume >= $1B 165 119 / 46 21.8% 2.56x 2.14x 40% · 20 checked +5.73% -6.97%
Dollar volume >= $5B 418 304 / 114 30.3% 3.56x 3.22x 38.5% · 78 checked +8.09% -4.78%
Dollar volume >= $5B + Risk not High 418 304 / 114 30.3% 3.56x 3.22x 38.5% · 78 checked +8.09% -4.78%

Rule candidates

Sorted by lift vs universe baseline. Validation columns show the same rule over the most recent study window slice.

Rule Total Checked / Pending Boom Boom rate Lift Validation Avg runup Avg drawdown
Momentum v2 >= 30 + dollar volume >= $1B 95 70 / 25 18 25.7% 3.02x 44.4% · 9 checked +5.75% -7.90%
Money flow >= 14 + momentum v2 >= 30 110 90 / 20 14 15.6% 1.84x 30% · 10 checked +4.81% -7.47%
5D momentum v2 >= 30 177 138 / 39 21 15.2% 1.79x 26.7% · 15 checked +4.80% -7.10%
Technical >= 20 + money flow >= 12 2265 1853 / 412 181 9.8% 1.15x 13.2% · 167 checked +4.38% -5.53%

Latest snapshot candidates

Stocks from the latest selected snapshot that match high-lift rules in the current study window.

Symbol Setup grade Score Evidence Matched rules
US.TER Teradyne B 74.4 97.1 62.1/110 · 35/50 Elevated
Money flow A · lift 3.02x · Elevated risk n=70 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.HPE Hewlett Packard Enterprise B 73.1 94.8 61.8/110 · 33/50 Elevated
Money flow A · lift 3.02x · Elevated risk n=70 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B · Money flow >= 14 + momentum v2 >= 30
US.NTAP NetApp B 75.7 96.2 59.2/110 · 37/50 Medium
lift 3.02x · Validation not confirmed n=70 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.LITE Lumentum B 73 95.6 60.6/110 · 35/50 Elevated
lift 3.02x · Elevated risk n=70 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.CCL Carnival Corporation B 74 94.4 60.4/110 · 34/50 Elevated
Money flow A · lift 1.84x · Elevated risk n=90 · validation OK
5D momentum v2 >= 30 · Money flow >= 14 + momentum v2 >= 30
US.COHR Coherent Corp. B 71.9 90 57/110 · 33/50 Elevated
Technical A · lift 3.02x · Elevated risk n=70 · validation watch
5D momentum v2 >= 30 · Momentum v2 >= 30 + dollar volume >= $1B
US.RCL Royal Caribbean Group B 72.8 90.6 60.6/110 · 30/50 Elevated
lift 1.79x · Elevated risk n=138 · validation OK
5D momentum v2 >= 30

Score with momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Score 90-109 249 202 / 47 25 12.4% 1.46x +4.59% -6.21%
Score < 90 13262 9301 / 3961 782 8.4% 0.99x +3.95% -5.32%

5D momentum v2 bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
5D momentum v2 >= 40 40 32 / 8 9 28.1% 3.31x +6.13% -7.48%
5D momentum v2 20-29 493 388 / 105 50 12.9% 1.52x +4.84% -6.28%
5D momentum v2 30-39 137 106 / 31 12 11.3% 1.33x +4.40% -6.99%
5D momentum v2 < 20 12846 8979 / 3867 737 8.2% 0.96x +3.92% -5.27%

Dollar volume bucket

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Dollar volume >= $5B 418 304 / 114 92 30.3% 3.56x +8.09% -4.78%
Dollar volume $1B-$5B 2001 1427 / 574 268 18.8% 2.21x +5.74% -5.32%
Dollar volume $250M-$1B 6533 4544 / 1989 313 6.9% 0.81x +3.88% -5.40%
Dollar volume < $250M 4564 3230 / 1334 135 4.2% 0.49x +2.91% -5.31%

Risk level

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
High 405 306 / 99 68 22.2% 2.61x +8.73% -7.45%
Elevated 3573 2615 / 958 524 20% 2.35x +6.33% -6.10%
Medium 9093 6274 / 2819 216 3.4% 0.4x +2.87% -4.99%
Low 445 310 / 135 0 0% 0x +1.48% -4.03%

Sector

Bucket Total Checked / Pending Boom Boom rate Lift Avg runup Avg drawdown
Information Technology 1998 1406 / 592 432 30.7% 3.61x +7.85% -6.58%
Energy 567 399 / 168 52 13% 1.53x +5.42% -4.26%
Communication Services 589 413 / 176 43 10.4% 1.22x +4.41% -5.22%
Health Care 1592 1120 / 472 89 7.9% 0.93x +5.06% -4.05%
Materials 700 494 / 206 35 7.1% 0.84x +3.66% -5.78%
Consumer Staples 944 664 / 280 27 4.1% 0.48x +3.33% -5.12%
Consumer Discretionary 1269 893 / 376 29 3.2% 0.38x +2.99% -6.30%
Industrials 2160 1520 / 640 43 2.8% 0.33x +2.82% -5.59%
Financials 2052 1444 / 608 38 2.6% 0.31x +2.67% -4.86%
Utilities 837 589 / 248 12 2% 0.24x +1.82% -4.76%
Real Estate 808 563 / 245 8 1.4% 0.16x +1.95% -5.19%

Factor study is observational and uses archived market data only. It helps evaluate model quality, not predict or recommend trades.